Depends how they're set up. If you already have the labels set up, all
formatted as 'normal' then 'not easily' is the answer.
If you are doing a mail merge, you can specify the sort field(s) as part of
the merge query. (By far the best method!)
If the first line of each label is formatted to a different style, you can
do it by setting that style's outline level to 1, then display the document
in outline mode, display only level 1 paragraphs, select all, then use Sort
from Table menu.
If each label is a single line using NewLine for each address line and
paragraph marks only between labels, then you can sort directly: select all,
then Sort from the Table menu.